Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0386 |
| Annualized Std Dev | 0.2859 |
| Annualized Sharpe (Rf=0%) | 0.1351 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3267.0000 |
| NAs | 1.0000 |
| Minimum | -0.1719 |
| Quartile 1 | -0.0074 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0087 |
| Maximum | 0.1546 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0003 |
| Stdev | 0.0180 |
| Skewness | -0.3457 |
| Kurtosis | 9.9471 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0131 |
| Gain Deviation | 0.0128 |
| Loss Deviation | 0.0142 |
| Downside Deviation (MAR=210%) | 0.0174 |
| Downside Deviation (Rf=0%) | 0.0129 |
| Downside Deviation (0%) | 0.0129 |
| Maximum Drawdown | 0.6422 |
| Historical VaR (95%) | -0.0264 |
| Historical ES (95%) | -0.0436 |
| Modified VaR (95%) | -0.0274 |
| Modified ES (95%) | -0.0497 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-05-23 | 2008-12-01 | 2010-08-20 | -0.6422 | 566 | 133 | 433 |
| 2018-02-27 | 2020-03-16 | NA | -0.5171 | 772 | 516 | NA |
| 2013-05-09 | 2016-01-07 | 2018-01-04 | -0.4274 | 1174 | 672 | 502 |
| 2011-04-21 | 2011-10-03 | 2012-03-01 | -0.3019 | 217 | 114 | 103 |
| 2010-11-09 | 2011-02-10 | 2011-04-04 | -0.1599 | 101 | 65 | 36 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | 3.5 | 1.2 | 0.7 | -2.3 | 1.9 | -3 | -1.6 | 1.2 | -10 | 0.3 | -8.4 |
| 2009 | 0 | -1.1 | 0.9 | 0 | 5.1 | 3.1 | -0.7 | -1.2 | 0.1 | -4.7 | 3.1 | -1.2 | 3.1 |
| 2010 | 2.5 | 1.6 | 2.3 | -0.9 | 0.1 | 0.1 | 1 | 2.8 | 1.2 | 1.5 | 3.4 | 0.4 | 17 |
| 2011 | 1 | -0.8 | 2.1 | 0.8 | -3 | 0.4 | 0.3 | 0.2 | -3 | -2.6 | -0.9 | 0.3 | -5.1 |
| 2012 | 1.7 | 1.2 | -0.4 | 0.5 | -3.7 | 2.8 | 0.1 | 1.9 | 0.8 | 1.9 | 0.7 | 1.8 | 9.5 |
| 2013 | 2.3 | 1.1 | -0.7 | -1.1 | -3.7 | -0.5 | 2.7 | -0.2 | 4.7 | -0.4 | -0.1 | 0.7 | 4.7 |
| 2014 | 1.4 | -0.4 | 1.9 | 0 | -0.7 | 0.8 | 1.6 | 0 | -1.4 | 0.8 | 0 | 0 | 4 |
| 2015 | -1.6 | -0.2 | 1.6 | 0.3 | -0.5 | 0.2 | 2.9 | -1.4 | -1.2 | 0 | 0.2 | -0.2 | 0 |
| 2016 | -1 | 2.3 | 0.1 | 0.3 | -0.7 | 0.9 | -1.9 | 0.3 | 0.6 | -0.1 | -0.1 | -0.4 | 0.3 |
| 2017 | -0.2 | 1.4 | -0.2 | 0.2 | 0.4 | 0.5 | 0.1 | 0.6 | 1.2 | -0.4 | 0.1 | 0.8 | 4.6 |
| 2018 | -0.1 | -0.3 | 0.3 | -0.6 | -0.4 | 0.1 | 0.9 | 0.5 | 0.3 | 2.2 | 0.2 | 0.2 | 3.5 |
| 2019 | 0 | -1.6 | 0.8 | -0.8 | 1.5 | 0.6 | -1.5 | 0.6 | -1 | -0.1 | -1.3 | 0.7 | -2.2 |
| 2020 | -1.2 | -1 | -4.8 | -2.7 | 2.6 | 0.8 | 1 | -0.7 | 0.7 | -0.1 | 1.6 | -0.7 | -4.6 |
| 2021 | 1.7 | 3.2 | 0.9 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.9 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-03-28 50.2 SPY 132. -0.00960 -0.0043 -0.0485 -0.121 -0.0727 0.121 0.510 GLD 91.9 -0.0169 0.0219
2 2008-03-31 50.2 SPY 132. 0.0035 -0.0204 -0.0358 -0.106 -0.0704 0.132 0.514 GLD 90.4 -0.016 0.0034
3 2008-04-01 51.9 SPY 137. 0.0352 0.0131 0.0208 -0.0726 -0.038 0.156 0.576 GLD 86.9 -0.0393 -0.0633
4 2008-04-02 51.0 SPY 137. 0.0007 0.0263 0.024 -0.065 -0.0384 0.159 0.613 GLD 89.3 0.0277 -0.0483
5 2008-04-03 50.8 SPY 137. 0.0025 0.0321 0.0305 -0.0544 -0.0463 0.167 0.593 GLD 89.4 0.0017 -0.0432
6 2008-04-04 50.8 SPY 137. -0.0011 0.0409 0.0229 -0.055 -0.0484 0.164 0.553 GLD 90.2 0.00930 -0.0177
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
